I am sorry, I can't figure this out. I installed MPC HC, then unpacked the zip file and ran the installer batch. Then I right click on the video picture and I just get a pop up menu with no mention of madVR anywhere. Can you explain how to reproduce the problem?

Odd, I just could reproduce it this very moment.
Did you click the "Edit settings" button of madVR?
If you have first entered madVR settings via tray icon you might need to delete sandbox content in order to reproduce the error when opening the settings via MPC HC filters.

Edit: Btw. you have to play a video file meanwhile to make madVR appear in the filters list.

The missing piece of information was to click on Filters in right-click menu, then select madVR. In the future please keep in mind that I am not always familiar with software you use and if you tell me a list of exact steps to follow then it can save me some time.